To unlock characters, do these tasks:
E-10000G: Play for 20 hours straight
Cream The Rabbit: Beat Hero Story
Dr. Eggman: Beat Babylon Story
Shadow The Hedgehog: Beat Hero Story
Super Sonic: Beat all Missions in Mission Mode with a Gold Emblem
E-10000R: Play the game for at least 50 hours
Rouge The Bat: Beat Hero Story